The biggest two are the elite benefits - most airlines give the "natives" better upgrades and other perks - and the fact that some airlines make partner redemption painful. I've been most active in my flying life with AA, US, and UA. US has crawled in bed with both of those two at one point or another, but when I've redeemed US seats, I've always had to do it with US miles.

I've accumulated about 150k DL in my life and about 75k NW. Those were all through credit cards and other bonuses - I've flown maybe 3 revenue R/T's in my life on each.